Connections between the extreme points for Vandermonde determinants and minimizing risk measure in financial mathematics

DOI10.1007/978-3-031-17820-7_26OpenAlexW4318060068MaRDI QIDQ6153232FDOQ6153232

Authors: Asaph Keikara Muhumuza, Karl Lundengård, Anatoliy Malyarenko, Sergei Silvestrov, John Magero Mango, Godwin Kakuba 

Publication date: 16 March 2024

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-031-17820-7_26

Recommendations

• Optimization of the determinant of the Vandermonde matrix and related matrices
• Extreme points of the Vandermonde determinant on surfaces implicitly determined by a univariate polynomial
• Extreme points of the Vandermonde determinant on the sphere and some limits involving the generalized Vandermonde determinant
• Optimization of the Wishart joint eigenvalue probability density distribution based on the Vandermonde determinant
• Extreme points of the Vandermonde determinant and Wishart ensemble on symmetric cones

zbMATH Keywords

asset pricingrisk minimizationoptimal portfolio selectionVandermonde determinant

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Determinants, permanents, traces, other special matrix functions (15A15)

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